Pricing exotic options under regime switching
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference22 articles.
1. A PDE approach to Asian options: Analytical and numerical evidence;Alziary;Journal of Banking and Finance,1997
2. An empirical investigation of continuous-time equity return models;Andersem;Journal of Finance,2002
3. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997
4. Jumps and stochastic volatility: exchange rate processes implicit in Deutsche Mark options;Bates;Review of Financial Studies,1996
5. Valuing options in regime-switching models;Bollen;Journal of Derivatives,1998
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